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DMtest - Diebold-Mariano Forecast Evaluation Test

DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Mon Jan 20, 2014 4:18 pm

by AVossmeyer

This thread is about the add-in DMtest. This add-in carries out Diebold and Mariano's (1995) test for the equality of forecast accuracy of two forecasts. The add-in requests the user to input 2 equation objects, the forecast sample, and to select a loss function (squared or absolute). The output is a spool that includes a table of results which displays the Diebold-Mariano test statistic and a p-value, and graphs of the two forecasts.

Please let me know if there are any questions.

- Angela Vossmeyer

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Mon Jan 20, 2014 7:56 pm

by alok_fes

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Tue Jan 21, 2014 11:12 am

by ecofin

thanks alot for this Add-in , how to explain the results?.best regards.

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Wed Jan 22, 2014 9:25 am

by alok_fes

Please provide option for modified dmtest

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Wed Jan 22, 2014 9:28 am

by EViews Gareth

What is "modified dmtest"?

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Wed Jan 22, 2014 11:40 am

by Annibal

Hi, I'm transforming my dependent variable, let say "x", by taking the first difference, so it is equal to d(x,1). When I run the add-in, an error message appears: "Syntax error in "IF @OBSSMPL <> D(X,1).@OBS THEN".

Is there a way to overcome that error or It is not possible to work with dependente variables using functions like d(x,1).

Kind regards,

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Wed Jan 22, 2014 12:27 pm

by EViews Gareth

Should be able to fix that - stay tuned for an update.

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Wed Jan 22, 2014 2:32 pm

by AVossmeyer

Hi Annibal,

Thanks for bringing this to attention. The file has been updated and uploaded so this shouldn't be an issue anymore.

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Tue Jan 28, 2014 4:16 am

by alok_fes

Please tell how to run the addin as program line command

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Tue Jan 28, 2014 7:48 am

by ecofin

hi, thanks for your replyis that I understood H0: equal expected forecast error, alternative H1: not equal expected error.I have simple suggestion to Add line vertical and horizontal in graph to show the point of forecast101 intercept forecat201, and estimate this point in out put.

Best regards.

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Tue Jan 28, 2014 9:09 am

by EViews Gareth

Your case is somewhat specific. How do you know the two forecasts are going to have an intercept? How do you know that they are going to have just one? They could cross 15,000 times!

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Tue Jan 28, 2014 12:27 pm

by ecofin

higood question, I don't know but I have estime two models x c ar(1) the second x c ar(1) ar(2) for box-jenkins aire line passenger (just select 2 models for an example), I know They could cross 15,000 times. it is my mistake to understand that there are some models that can intercept in one point.

Best regards. ecofin

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Mon Feb 24, 2014 6:56 am

by metrix

hithanks for this Add-in ,is this Add-in the Diebold and Mariano’s asymptotic test?, and can you write in the future an Add-in with four COMPARING FORECAST ERRORS OF DIFFERENT MODELS like:1-Diebold and Mariano’s asymptotic test;2-Diebold and Mariano’s sign test;3-Diebold and Mariano’s Wilcoxon sign-rank test;4-Serially correlated loss differentials.the guide reference in book Chapter 2 A Practical Guide to Forecasting Financial Market Volatility, Ser-Huang Poon, John Wiley, pp 24-28.

Kind regards. metrix

Re: DMtest - Diebold-Mariano Forecast Evaluation Test

Posted: Wed Feb 26, 2014 11:46 am

by AVossmeyer

Hi Metrix,Yes, this add-in is for the asymptotic test. I will look into these other suggestions.Thanks,Angela